发明名称 |
SYSTEMS AND METHODS FOR PARAMETER ESTIMATION FOR USE IN DETERMINING VALUE-AT-RISK |
摘要 |
A process is provided, that facilitates the use of value-at-risk analysis in industries with dynamic market data. The method utilizes past market data to estimate future market parameters. The method includes identifying and removing seasonal patterns from said past market data and normalizing deseasonalized market data with a repeated method of replacing large outliers with mean values. Outliers and normalized data are then grouped separately. Forecasts of normalized future market data and forecasts of future outlier patterns are then determined from said separate groups. In this way parameters used for value-at-risk analysis can be accurately estimated, leading to precise value-at-risk-analysis results. |
申请公布号 |
CA2846727(A1) |
申请公布日期 |
2014.09.15 |
申请号 |
CA20142846727 |
申请日期 |
2014.03.17 |
申请人 |
OPEN ACCESS TECHNOLOGY INTERNATIONAL, INC. |
发明人 |
IRISARRI, GUILLERMO;MOKHTARI, SASAN;SLUTSKER, ILYA WILLIAM |
分类号 |
G06Q40/04 |
主分类号 |
G06Q40/04 |
代理机构 |
|
代理人 |
|
主权项 |
|
地址 |
|